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Cross-Efficiency Evaluation under Probabilistic Hesitant Fuzzy Environment and Its Application to the Portfolio Selection Process

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  • Yutong Zhang
  • Wei Zhou
  • Danxue Luo
  • Xiaorong He

Abstract

In the case of insufficient quantitative data, qualitative evaluation information is very important for investment decision-making. However, if it is completely based on qualitative evaluation information, the results may be subjective. In response to this problem, this paper proposes a method, namely, probabilistic hesitant fuzzy cross-efficiency evaluation (PHFCEE) method, based on probabilistic hesitant fuzzy theory, cross-efficiency data envelopment analysis (CEDEA). This method uses probabilistic hesitant fuzzy sets to collect qualitative evaluation information and then uses the cross-efficiency DEA model to fuse quantitative data and qualitative information. And finally, an investment portfolio is built based on the cross-efficiency value and its variance. In addition, this article gives the specific operating steps of the PHFCEE method and uses the construction of a portfolio of 10 stocks in the China CSI 300 Index as an example to illustrate the effectiveness of this method.

Suggested Citation

  • Yutong Zhang & Wei Zhou & Danxue Luo & Xiaorong He, 2021. "Cross-Efficiency Evaluation under Probabilistic Hesitant Fuzzy Environment and Its Application to the Portfolio Selection Process," Mathematical Problems in Engineering, Hindawi, vol. 2021, pages 1-12, November.
    • Handle: RePEc:hin:jnlmpe:9628251
    DOI: 10.1155/2021/9628251
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